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Some comments on testing time series models

โœ Scribed by McAleer, Michael


Book ID
120464837
Publisher
Taylor and Francis Group
Year
1998
Tongue
English
Weight
246 KB
Volume
7
Category
Article
ISSN
0747-4938

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Following the general approach for constructing test statistics for stochastic models based on optimal estimating functions by Thavaneswaran (1991), a new test statistic via martingale estimating function is proposed. Applications to some time-series models such as random coefficient autoregressive